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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	4.8753	1.74*
αARCH	0.3464	1.52
βGARCH	0.6761	5.07***
γleverage	-0.2161	-0.98

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.8753	1.74*
α ARCH Response to squared shocks	0.3464	1.52
β GARCH Volatility persistence	0.6761	5.07***
γ leverage Additional response to negative shocks	-0.2161	-0.98

V-Lab

PowerBank Corp GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PowerBank Corp Analyses